You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
I find one big mistake ( everyone do that ) in backtesting.py -> row 40 - u are using shuffle = True ( by default is true in train_test_split ) and when u doing i+1 or i+x targets data is already seen when doing learning. Because of that u get always different result when running backtesting.py. If u change shuffle = False u will get 45-50% less of trades and Accuracy score will drop to 0.6/0.65 max.
Best
The text was updated successfully, but these errors were encountered:
There's another important caveat btw - the data is biased to companies who outperform the market. That is, deciding to buy all of the shares in a 20% test split and you will outperform the market by ~4%.
Hello,
First of all great work Robert.
I find one big mistake ( everyone do that ) in backtesting.py -> row 40 - u are using shuffle = True ( by default is true in train_test_split ) and when u doing i+1 or i+x targets data is already seen when doing learning. Because of that u get always different result when running backtesting.py. If u change shuffle = False u will get 45-50% less of trades and Accuracy score will drop to 0.6/0.65 max.
Best
The text was updated successfully, but these errors were encountered: